Modelisation multifractale du taux de change dollar/euro
AbstractL’approche multifractale en finance a fait dernierement l’objet de developpements theoriques que l’on doit principalement a Calvet et Fisher (2001, 2002). Dans cet article, nous presentons la modelisation multifractale (Multifractal Model of Asset Returns, MMAR) dont nous proposons une application sur le taux de change dollar/euro. Nous concluons au caractere multifractal de ce taux de change, et, au moyen de simulations de Monte Carlo, a la superiorite de la modelisation multifractale par rapport aux modeles GARCH et FIGARCH pour rendre compte des proprietes de la serie etudiee.
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Bibliographic InfoArticle provided by CEPII research center in its journal Economie Internationale.
Volume (Year): (2005)
Issue (Month): 104 ()
Modelisation multifractale; fonction d’echelle; spectre multifractal; taux de change;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
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- Idier, J., 2008.
"Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models,"
218, Banque de France.
- Julien Idier, 2011. "Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.
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